Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 17 15 16
Score 4.68 3.62 4.33
Market Cap (Millions USD) 190555.32 186230.73 178299.12
Predicted Beta 3.4 3.38 3.29
Idiosyncratic Volatility 1.66 2.06 2.13

Annualized return and volatility

IVV
Annualized Return 0.0624
Annualized Std Dev 0.1834
Annualized Sharpe (Rf=0%) 0.3403

Row

Daily Return Statistics

IVV
Observations 5015.0000
NAs 99.0000
Minimum -0.0916
Quartile 1 -0.0043
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0056
Maximum 0.1110
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0116
Skewness -0.0439
Kurtosis 8.4291

Downside Risk

IVV
Semi Deviation 0.0083
Gain Deviation 0.0083
Loss Deviation 0.0091
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.5525
Historical VaR (95%) -0.0186
Historical ES (95%) -0.0280
Modified VaR (95%) -0.0169
Modified ES (95%) -0.0252
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2012-08-16 -0.5525 1244 364 880
2000-09-05 2002-10-09 2006-10-24 -0.4728 1570 534 1036
2018-09-21 2018-12-24 2019-04-12 -0.1938 142 66 76
2015-07-21 2016-02-11 2016-04-18 -0.1299 191 146 45
2018-01-29 2018-02-08 2018-07-25 -0.1006 126 9 117

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IVV
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 1.6 0.0 0.8 0.0 0.0 -0.5 -0.3 0 1.7
2001 0.6 0.4 0.0 1.6 0.9 0.0 0.7 0.0 0.2 2.4 0.0 0 7.0
2002 -0.6 2.4 0.3 1.1 0.0 -1.9 -3.1 0.0 4.7 1.9 0.0 0 4.7
2003 0.0 0.0 1.4 0.0 0.0 0.9 -0.9 0.0 2.2 0.0 1.0 0 4.6
2004 0.0 1.0 0.5 0.0 -0.2 -1.4 0.0 0.1 1.7 0.3 1.2 0 3.3
2005 0.6 0.6 -0.5 0.0 0.9 0.4 -0.1 -0.1 0.0 0.0 1.1 0 3.0
2006 0.7 0.9 0.0 -0.7 1.0 0.0 -0.4 0.6 0.0 -0.7 -0.2 0 1.1
2007 0.6 -0.4 0.0 0.2 0.4 0.0 0.5 0.0 1.0 -2.5 0.0 0 0.0
2008 1.6 0.0 3.7 1.8 0.0 0.4 -0.6 0.0 -0.8 0.0 -8.7 0 -3.0
2009 0.0 0.0 2.1 0.5 2.4 0.3 0.0 -2.2 -2.5 0.0 1.2 0 1.5
2010 1.6 1.1 0.7 0.0 -1.7 -0.2 0.0 2.9 0.4 0.0 2.2 0 7.1
2011 1.6 -1.6 0.5 0.0 -2.2 1.5 -0.5 -1.0 0.0 -2.7 0.0 0 -4.5
2012 0.8 0.6 0.0 0.7 -2.3 0.0 -0.2 0.0 0.4 1.4 0.0 0 1.3
2013 1.0 0.2 -0.3 -0.8 0.0 0.8 1.2 0.0 0.8 0.3 0.0 0 3.3
2014 0.0 0.0 0.7 -0.1 0.0 0.7 -0.3 0.0 -1.3 0.0 -0.7 0 -1.0
2015 0.0 0.0 -0.3 1.1 0.2 0.8 0.0 -3.0 0.3 0.0 1.0 0 -0.1
2016 0.0 2.4 0.6 0.0 0.2 0.3 -0.1 0.0 0.0 -0.7 -0.4 0 2.4
2017 0.1 1.3 0.0 0.3 0.8 0.0 0.2 0.2 0.0 0.2 -0.2 0 2.8
2018 -0.1 -1.3 0.0 0.2 1.0 0.0 -0.1 0.0 0.4 1.0 0.0 0 1.0
2019 0.1 0.7 1.2 -0.7 0.0 0.9 -0.9 0.0 -1.2 1.0 0.0 0 0.9

Row

Rolling Performance Chart

Snail Trail Chart